Access Statistics for Lucio Sarno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 1 4 4 629
A general randomized test for Alpha 0 0 11 11 2 5 16 16
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 414 0 6 12 794
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 2 4 156 4 13 24 604
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 0 0 306 4 16 24 1,136
Arbitrage in the foreign exchange market: Turning on the microscope 0 0 0 467 1 26 34 1,801
Assessing the benefits of international portfolio diversification in bonds and stocks 0 0 2 316 7 12 15 1,324
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 2 3 3 208
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 0 4 10 244
Asset prices, exchange rates and the current account 0 0 0 378 19 54 67 1,033
Asset prices, exchange rates and the current account 0 0 0 131 0 4 11 332
Business Cycles and Currency Returns 0 0 0 24 3 16 20 108
Business Cycles and Currency Returns 0 0 0 48 2 11 18 179
Carry Trades and Global FX Volatility 0 0 1 425 2 12 26 1,028
Carry Trades and Global Foreign Exchange Volatility 0 0 1 254 6 13 21 586
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 65 1 6 7 212
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 56 4 8 9 218
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 0 3 6 300
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 1 5 8 348
Currency Momentum Strategies 0 1 2 281 2 26 45 1,554
Currency Momentum Strategies 0 0 1 102 2 12 21 451
Currency Momentum Strategies 1 2 2 150 1 11 16 538
Currency Premia and Global Imbalances 0 0 2 110 1 9 18 361
Currency Risk Premia Redux 0 0 0 6 0 6 9 29
Currency Value 1 1 1 112 3 6 13 188
Currency risk premiums redux? 0 0 1 8 3 13 20 36
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 98 0 4 12 266
European Capital Flows and Regional Risk 0 0 0 0 2 6 6 388
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 0 1 175 1 9 23 543
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 0 261 2 7 9 630
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 174 1 11 19 412
Exchange Rates and Sovereign Risk 0 0 1 16 2 12 19 66
Exchange rate forecasting, order flow and macroeconomic information 0 0 1 299 0 3 11 650
Federal Funds Rate Prediction 0 0 0 482 1 5 13 6,443
Federal Funds Rate Prediction 0 0 0 207 2 7 9 1,938
Federal funds rate prediction 0 0 0 329 0 6 12 1,557
Foreign Exchange Intervention: A New Database 1 1 3 42 1 8 15 150
Foreign Exchange Risk and the Predictability of Carry Trade Returns 0 0 1 151 2 5 14 355
Foreign Exchange Volume 0 0 1 13 1 5 8 58
Foreign currency lending 0 0 0 44 0 3 7 278
Foreign exchange intervention: A new database 0 0 0 5 0 2 2 18
Foreign exchange intervention: A new database 0 1 1 58 2 10 15 95
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 0 6 6 597
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 635 2 6 14 1,535
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 0 0 11 19 20
How well do monetary fundamentals forecast exchange rates? 0 1 3 823 0 3 9 2,519
Information flows in foreign exchange markets: dissecting customer currency trades 0 0 1 136 1 5 10 494
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 0 365 2 8 14 533
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 1 9 14 414
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 213 0 4 6 604
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 1 13 17 661
Monetary policy and learning in an open economy 0 0 0 148 0 4 5 444
Monetary policy and learning in an open economy 0 0 0 19 1 3 8 145
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 0 174 0 3 6 390
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 0 0 289 0 3 7 926
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 1 4 5 415
Non-Standard Errors 0 0 0 27 0 6 20 163
Non-Standard Errors 0 0 2 44 4 18 38 470
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 0 0 203 1 7 14 706
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 82 0 7 8 346
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 348 1 2 5 532
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 0 1 3 956 0 12 19 2,047
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 1 304 0 3 10 699
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 161 3 20 22 484
Nonstandard Errors 0 0 0 0 0 5 23 23
Nonstandard Errors 0 0 0 0 1 8 16 16
Nonstandard Errors 0 1 2 4 1 10 25 39
Nonstandard errors 0 0 1 12 2 11 28 71
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 0 0 4 929 2 12 19 2,368
Properties of Foreign Exchange Risk Premia 0 0 2 152 2 6 11 427
Properties of Foreign Exchange Risk Premiums 0 0 0 74 0 8 13 179
Properties of Foreign Exchange Risk Premiums 0 1 2 83 1 3 9 268
Purchasing Power Parity and the Real Exchange Rate 1 1 2 1,199 3 11 24 3,819
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 1 7 10 860
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 0 5 8 705
Risks and Risk Premia in the US Treasury Market 0 2 2 2 4 7 12 13
Risky Bank Guarantees 0 0 0 14 1 2 2 70
Risky bank guarantees 0 0 0 22 0 5 8 57
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 3 4 486
Spot and Forward Volatility in Foreign Exchange 1 3 5 581 1 11 20 1,873
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 0 0 389 11 45 50 1,386
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 0 0 0 564 6 16 16 3,188
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 1 126 1 7 14 440
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 0 108 0 6 6 467
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 0 8 15 814
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 522 1 6 14 1,325
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 0 1 1 220 5 8 8 612
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 43 0 10 13 183
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 1 114 0 11 12 233
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 246 5 22 28 650
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 58 1 5 10 268
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 63 7 19 23 244
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 194 0 3 6 302
The cost of foreign-currency lending 0 0 0 0 4 8 11 27
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 0 0 0 527 0 3 13 2,144
The efficient market hypothesis and identification in structural VARs 0 0 0 253 0 6 11 895
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 0 383 1 4 8 823
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 0 222 1 1 4 753
The scapegoat theory of exchange rates: the first tests 0 0 0 34 2 5 11 170
The scapegoat theory of exchange rates: the first tests 0 0 0 89 2 5 6 438
Volatility Risk Premia and Exchange Rate Predictability 0 0 1 65 2 11 20 199
What Do Stock Markets Tell Us About Exchange Rates? 0 0 0 43 2 9 9 130
What Drives International Portfolio Flows? 0 0 0 102 4 7 15 285
What do stock markets tell us about exchange rates? 1 1 3 91 2 9 19 186
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 0 3 5 583
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 1 2 134 1 13 18 283
When is foreign exchange intervention effective? Evidence from 33 countries 0 1 3 101 12 29 41 221
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 0 89 4 9 12 283
Total Working Papers 6 22 80 20,071 199 966 1,597 72,054
3 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 0 1 93 0 4 11 323
A cross-country financial accelerator: Evidence from North America and Europe 0 0 0 96 0 9 11 266
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 1 88 1 6 9 319
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 128 0 3 7 308
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 0 0 186 2 7 9 531
Arbitrage in the foreign exchange market: Turning on the microscope 0 5 19 402 4 31 84 1,492
Asset prices, exchange rates and the current account 0 0 0 119 0 12 18 406
Business cycles and currency returns 0 0 2 43 2 8 17 161
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 1 6 8 165
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 0 6 13 1,433
Carry Trades and Global Foreign Exchange Volatility 1 1 4 213 4 12 28 659
Comparing the accuracy of density forecasts from competing models 0 0 0 87 0 4 7 277
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 0 0 3 62
Currency Premia and Global Imbalances 0 0 4 101 3 15 25 416
Currency Risk Premiums Redux 0 1 3 5 0 5 19 26
Currency Value 0 2 5 82 2 12 24 277
Currency momentum strategies 1 1 14 420 5 28 70 1,398
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 1 190 1 3 15 474
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 123 4 12 13 610
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 0 128 2 13 18 303
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 1 0 2 2 6
European Capital Flows and Regional Risk 0 0 0 81 1 8 10 327
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 1 211 3 10 17 561
Exchange Rates and Sovereign Risk 0 0 4 9 1 9 25 44
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 0 33 1 4 6 185
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 0 49 0 1 5 173
Exchange rate forecasting, order flow and macroeconomic information 0 1 6 317 4 16 30 931
Exchange rates and fundamentals: evidence on the economic value of predictability 0 0 0 237 2 14 33 658
Federal Funds Rate Prediction 0 0 0 0 0 2 5 846
Foreign Exchange Intervention: A New Database 2 2 6 14 3 11 25 56
Foreign Exchange Volume 1 2 2 12 2 13 35 72
Foreign exchange risk and the predictability of carry trade returns 0 0 1 52 0 6 14 201
Global liquidity risk in the foreign exchange market 0 0 2 83 1 7 10 406
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 1 335 1 2 9 1,025
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 0 2 147 10 24 30 543
How well do monetary fundamentals forecast exchange rates? 0 0 1 710 1 6 11 1,957
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 0 16 0 4 8 144
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 0 289 2 6 13 1,099
Mean reversion in stock index futures markets: A nonlinear analysis 0 0 1 6 0 7 11 47
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 232 1 4 7 725
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 1 0 5 8 16
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 158 0 5 9 554
Monetary Policy Rules, Asset Prices, and Exchange Rates 0 1 2 48 2 6 12 178
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 1 1 1 519 1 3 6 1,136
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 0 6 10 20
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 1 0 0 1 7
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 2 9 10 298
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 1 4 8 153
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 2 5 15 819
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 0 1 250 6 22 27 727
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 76 2 6 10 272
Nonstandard Errors 0 1 11 42 6 16 61 167
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 0 1 9 1,076 4 12 37 2,737
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 142 1 4 5 502
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 0 177 0 6 6 801
Properties of foreign exchange risk premiums 0 0 0 92 1 2 6 302
Purchasing Power Parity and the Real Exchange Rate 1 2 6 1,994 4 17 42 4,781
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 0 0 0 290 5 11 15 781
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 1 112 0 5 9 283
Real exchange rate behavior in the Middle East: a re-examination 0 0 0 62 0 6 9 261
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 0 1 1 150 0 2 4 398
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 0 0 120 4 10 14 373
Risks and risk premia in the US Treasury market 0 0 0 5 3 20 28 39
Risky bank guarantees 0 0 0 19 0 11 16 90
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 3 4 404
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 0 1 2 4 0 4 6 15
Special issue on advances in international money, macro and finance 0 0 0 44 0 3 6 144
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 4 1 6 13 24
Spot and forward volatility in foreign exchange 0 1 3 146 1 8 18 536
Stochastic growth: Empirical evidence from the G7 countries 0 0 0 11 4 7 13 154
Systematic sampling and real exchange rates 0 0 0 24 0 6 8 96
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 66 0 29 36 303
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 0 8 14 207
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 1 3 4 8 25
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 1 116 4 8 12 389
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 160 0 10 13 536
The behavior of US public debt: a nonlinear perspective 0 0 0 127 1 7 9 375
The behavior of real exchange rates during the post-Bretton Woods period 0 1 3 416 1 6 24 1,147
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 0 0 1 13 0 3 7 60
The cost of foreign-currency lending 0 1 1 9 2 8 17 57
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 0 0 0 284 1 6 9 1,128
The economic value of predicting bond risk premia 0 0 1 38 2 6 15 134
The efficient market hypothesis and identification in structural VARs 0 0 1 163 4 8 19 909
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 0 1 202 1 7 14 712
The market for lemmings: The herding behavior of pension funds 0 0 2 34 1 5 9 142
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 0 0 1 336 0 2 10 935
The scapegoat theory of exchange rates: the first tests 0 0 2 90 2 5 11 346
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 0 8 0 3 5 32
The trade imbalance network and currency returns 0 0 6 6 2 9 39 39
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 0 9 1 8 13 44
Timing exchange rates using order flow: The case of the Loonie 0 0 0 36 1 6 11 160
Toward a new paradigm in open economy modeling: where do we stand? 0 1 1 27 1 6 11 102
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 0 5 1 8 13 37
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 1 388 2 8 23 804
Volatility risk premia and exchange rate predictability 0 2 5 123 3 9 29 425
What Do Stock Markets Tell Us about Exchange Rates? 0 0 2 33 4 16 22 153
What drives international portfolio flows? 0 1 2 70 0 12 20 223
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 0 3 4 179
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 3 8 2 10 21 36
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 5 129 5 11 26 538
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 0 60 4 8 14 183
Total Journal Articles 7 30 158 14,018 162 821 1,629 47,340
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 6 22 49 798
Total Books 0 0 0 0 6 22 49 798

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 0 0 0 0 0 1 4 4
Total Chapters 0 0 0 0 0 1 4 4

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Statistics updated 2026-03-04